Variance of return on the well diversified portfolio

Reference no: EM13751979

Question 1: Consider the one factor APT. the variance of the factor portfolio is 6%. The beta of a well diversified portfolio on the factor is 1.1. The variance of return on the well diversified portfolio is approximately

a. 3.6%

b. 6.0%

c. 7.3%

d. 10.1%

Reference no: EM13751979

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